Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0072
Annualized Std Dev 0.2890
Annualized Sharpe (Rf=0%) -0.0248

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.1541
Quartile 1 -0.0079
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0085
Maximum 0.2802
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0182
Skewness 0.1235
Kurtosis 18.8169

Downside Risk

Close
Semi Deviation 0.0132
Gain Deviation 0.0132
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0176
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.8373
Historical VaR (95%) -0.0269
Historical ES (95%) -0.0447
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0222
From Trough To Depth Length To Trough Recovery
2007-07-24 2020-03-23 NA -0.8373 3440 3189 NA
1999-07-12 2001-09-24 2003-10-27 -0.4242 1080 554 526
2005-03-22 2005-05-16 2005-09-16 -0.2336 125 39 86
2004-02-20 2004-05-13 2004-10-15 -0.2237 166 59 107
2006-05-12 2006-06-13 2006-11-16 -0.1736 132 22 110

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 2.7 0 5.1 0.8 0 0.8 0 0.8 1.6 -1.6 0.8 -0.8 10.6
2000 -1.7 -1.8 0 0 1 2.8 -1 -1 -1.1 1.1 3.3 -1.1 0.5
2001 2.1 0.5 1.1 -0.5 0.7 0.5 1.8 1.6 -1.6 -1.1 -1.3 1.1 4.9
2002 -0.9 0.7 0.5 -0.3 3 -0.3 1.3 -0.3 1.8 0.2 0.8 1.5 8.2
2003 -1.1 0 0.5 0.5 0.3 0.7 -0.4 1.8 0.5 -0.5 -0.7 -0.2 1.3
2004 0.6 2.1 1 3.3 -0.4 0.1 1.2 0.7 0.5 1.2 -0.3 0.6 11
2005 0.8 2.3 2.5 1.1 1 -0.6 0.2 1.5 0.8 0.2 1.3 -1.1 10.7
2006 0.4 -0.8 -1.8 0.2 -0.1 0.5 -0.2 1.4 -1.2 -0.6 -0.7 0.4 -2.6
2007 -0.1 -2.2 -0.4 -0.4 0.9 -0.1 -13 2.7 2.1 -2.6 0.9 2.1 -10.6
2008 3.7 -2.1 3.4 -0.1 -0.5 -4 -1.6 -2.1 3.4 1.1 -10.6 1.3 -8.8
2009 1.2 -1 1.2 1.6 -3.7 -0.6 0.8 0.2 -3.1 -4.5 3.3 -0.2 -5.1
2010 2.7 1.1 1.6 -1.4 -4.3 -0.2 0.9 4.1 -0.3 0.2 2.7 0.1 7
2011 1.6 -1 0.1 1.3 -1.5 0 1.8 -0.8 -3.9 -2.3 0 -0.2 -5
2012 1.9 0.2 1.8 -0.8 -2.2 3.1 -1.1 1.7 -0.7 0.2 0.7 0.4 5.3
2013 1 0.6 -2.2 -2.2 -2 -1.1 0.2 -0.6 1.2 -0.6 -0.1 0 -5.7
2014 -0.7 -0.1 0.4 -0.8 -0.4 -0.2 -0.2 -0.6 1 0.8 -2.2 0.3 -2.7
2015 -0.4 0.3 -1 0.6 -1 0.5 0.2 -3.1 0.4 0.2 2.4 0.3 -0.9
2016 0.2 2.8 -0.9 0.5 -0.7 -1.4 -0.8 1 -0.2 -0.5 1.5 -0.9 0.5
2017 -0.5 0.2 -0.7 1 -0.7 -0.2 1 1.5 0.2 0.4 0.2 0.3 2.6
2018 -0.6 -1.7 -0.8 -0.7 1.8 1.8 -0.1 0.3 -0.3 1.4 -0.4 0.2 0.9
2019 -0.4 0 -0.4 0.6 0.2 0.5 -0.4 0.8 -0.8 1.2 0.4 0.3 2
2020 -1.4 -5.5 -3.6 -4.7 3.8 2 -1.7 -0.4 0.4 -0.9 0.8 -1.1 -12
2021 0.4 1.6 -0.7 NA NA NA NA NA NA NA NA NA 1.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  6.81 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  6.75 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  7    SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  7    SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  6.88 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  6.81 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart